An interpolation algorithm for multivariate ARMA processes

DOI10.1007/BF03263565MaRDI QIDQ1758760zbMATH OpenOpenAlexFDO

Authors Mehrnaz Mohammadpour, A. R. Soltani

Publication date 16 November 2012

Published in Metron (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf03263565

zbMATH Keywords

backward and forward moving average representationsspectral density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes
• A note on interpolation of arima processes
• scientific article; zbMATH DE number 3891232
• scientific article; zbMATH DE number 1963494
• Inverse covariances of a multivariate time series

Cites work

• Algorithms for linear interpolator and interpolation error for minimal stationary stochastic processes
• Forward moving average representation in multivariate MA(1) processes
• scientific article; zbMATH DE number 1963494 (Why is no real title available?)
• Introduction to Time Series and Forecasting
• Moving Average Representations for Multivariate Stationary Processes
• On the Problem of the Equivalence of Probability Measures Corresponding to Stationary Gaussian Processes
• Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes
• Time series: theory and methods.

Cited in

(5)

• scientific article; zbMATH DE number 3891232 (Why is no real title available?)
• Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes
• scientific article; zbMATH DE number 3945194 (Why is no real title available?)
• A note on interpolation of arima processes
• scientific article; zbMATH DE number 1963494 (Why is no real title available?)

Describes a project that uses

Uses Software

• itsmr

This page was built for publication: An interpolation algorithm for multivariate ARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1758760)